A brief update – SEF MAT weeks 4 and 5 numbers show fixed float IRS fairly stable.  Using any one week to form conclusions is questionable.  A March weekly average compared with January weekly average shows the downward trend of US reportable EUR and GBP and the stubborn refusal of USD to shift proportionately on SEF consistent with my prior posts.  Also we can start to compare swapfutures vs IMM/MAC swaps volume – courtesy of Amir's helpful post – so far there's a real race it would seem.

What do the Numbers Say

From the graph it looks by eye that we've got back to where we were in January with no appreciable shift in total volumes or proportion of on SEF vs off SEF.  To get away from any one week driving conclusions, I calculated the March weekly average vs January four week average (ignoring February as the implementation month, thanks to Clarus' SDRView tool).

Ccy       On SEF   Off SEF

USD        +15%      +22%

EUR        -35%         +2%

GBP        -35%         -14% 

Total       + 6%         +11%